In Canada, you are required to have 40 hours of ground school instruction. See Canadian Aviation Regulations 421.26 (3)(a):
completed a minimum of 40 hours private pilot aeroplane ground school instruction on the following subjects ...
Ground school instruction is defined as (CARS 400.01):
classroom-type instruction generally given to one or more persons and covering an organized program of lectures, homework or self-paced study that adheres to an approved training program.
So, you can learn by self-study, but it needs to be an approved training program. This would mean that a flight instructor would need to sign off on the self-study program.
The FAA says:
If you are unable to attend a ground school, the self-study method can be satisfactory, provided you obtain the proper study materials and devote a reasonable amount of time to study.
The regulation is at Title 14 Code of Federal Regulations, §61.35(a)(1):
Received an endorsement, if required by this part, from an authorized instructor certifying that the applicant accomplished the appropriate ground-training or a home-study course required by this part for the certificate or rating sought and is prepared for the knowledge test ...
Because in both cases an instructor must sign off on your preparedness for the examination, and passing the examination demonstrates that you meet the standard, in my opinion, the only thing that would make self-study a bad idea is if self-study is not an effective learning method for you, which could delay your training.